What I listen to in IV depends on what I'm doing or who's with me. My passengers always listen to their preferred station. Any other game, I've just listened to whatever.
In IV, I listen to Vladivostok at the start of the game, listen to Tuff Gong or Massive B while doing Jacob's missions (even if he's not in the car), Brucie can go fuck himself, so I listen to whatever, either of the two rap stations or San Juan Sounds in Bohan, The Beat once I start the Playboy X and Dwayne missions, Liberty Rock Radio when I'm doing missions for Packie, and I pretty much only listen to The Journey once I get into the ULPC and mafia missions, unless there's a mobster in the car, in which case I listen to the jazz station.
In TLAD, I listen to LRR, unless there was a song I didn't feel like listening to, or I had something heavy to do, in which case I listened to LCHC.
In TBOGT, I listen to a mix of The Beat, The Classics, and San Juan Sounds, with Electro-Choc thrown in when appropriate. I listen to The Studio when Tony's in the car.
But, my favorite is TLAD's version of LCHC, followed by The Journey. The Journey was the perfect station to listen to while speeding through Algonquin as Niko.